Dr. WOO Kai YinChan Hing-lin2012-10-042012-10-0420099789881844316http://hdl.handle.net/20.500.11861/821The purpose of this paper is to investigate the day-of-the-week effect on both the returns and volatility of the H-shares (Hang Seng China Enterprises) Index in Hong Kong. To do this, we applied the exponential GARCH method to the daily closing price of the H-share index from 3 January 2000 to 1 August 2008. The empirical results indicate that there are significant, positive Monday and Friday effects on returns. However, after adjusting for market risks that vary across the days of the week, only the Monday effect remains. We further check the day-of-the-week effect on volatility and find Monday has the highest effect, which is consistent with the theory of availability of information. Together, these two sets of results imply that the Monday effects on risk-adjusted returns may be a reward for a higher conditional volatility on that day. Nevertheless, after adjusting for transaction costs, the abnormal returns for Monday become negligible.enEGARCH ModelVolatilityH-Shares IndexDay-Of-the-Week EffectWorking Paper